Docs / nablatensor-cva / com.nablatensor.cva

final class

SaCva

The SA-CVA capital charge from a bucketed CVA sensitivity vector. Within each risk type the delta and vega sensitivities are aggregated FRTB-style on the shared NestedAggregation; the risk types are then combined as sqrt(sum of squares) and scaled by m_CVA. The charge is computed under all three correlation scenarios and the largest is kept (MAR50.9, CRR3 Art. 383).

Constructors

SaCva(SaCvaParameters parameters)

Methods

SaCvaResult charge(Sensitivities cvaSensitivities)